A multi-objective multi-period stochastic programming model for public debt management

Balibek E., Köksalan M.

European Journal of Operational Research, cilt.205, sa.1, ss.205-217, 2010 (SCI-Expanded) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 205 Sayı: 1
  • Basım Tarihi: 2010
  • Doi Numarası: 10.1016/j.ejor.2009.12.001
  • Dergi Adı: European Journal of Operational Research
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.205-217
  • Anahtar Kelimeler: Multiple objective programming, OR in government, Public debt management, Risk analysis, Stochastic programming
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

While raising debt on behalf of the government, public debt managers need to consider several possibly conflicting objectives and have to find an appropriate combination for government debt taking into account the uncertainty with regard to the future state of the economy. In this paper, we explicitly consider the underlying uncertainties with a complex multi-period stochastic programming model that captures the trade-offs between the objectives. The model is designed to aid the decision makers in formulating the debt issuance strategy. We apply an interactive procedure that guides the issuer to identify good strategies and demonstrate this approach for the public debt management problem of Turkey. © 2009 Elsevier B.V. All rights reserved.